Review of Discrete and Continuous Processes in Finance
discrete-time and continuous-time processes for finance, theory and empirical examples
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Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.
To walk through the code and for a thorough description, refer to A. Meucci (2009), "Review of Discrete and Continuous Processes in Finance - Theory and Applications", available at http://symmys.com/node/131
Cite As
Attilio Meucci (2026). Review of Discrete and Continuous Processes in Finance (https://www.mathworks.com/matlabcentral/fileexchange/23554-review-of-discrete-and-continuous-processes-in-finance), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.5.0.0 (4.69 MB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
